Documents found in this filing:

CURRENT REPORTPursuant
to Section 13 or 15(d) of the Securities Exchange Act of 1934

Date of
report (Date of earliest event reported): March 20, 2012

Jefferies
Group, Inc.

(Exact
name of registrant as specified in its charter)

Delaware

1-14947

95-4719745

(State or other jurisdiction ofincorporation)

(Commission File Number)

(IRS Employer IdentificationNo.)

520 Madison Ave., New York, New York

10022

(Address
of principal executive offices)

(Zip
Code)

Registrant’s telephone number, including
area code: 212-284-2550

(Former name or former address, if changed since last report)

Check the
appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any
of the following provisions (see General Instruction A.2.
below):

On March 20, 2012, we issued a press release announcing financial
results for the quarter ended February 29, 2012. A copy of the press
release is attached hereto as Exhibit 99 and is incorporated herein by
reference.